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Trading volume, realized volatility and jumps in the Australian stock market
Shahzad, Hassan; Huu Nhan Duong; Kalev, Petko S.; … - In: Journal of international financial markets, … 31 (2014), pp. 414-430
Persistent link: https://www.econbiz.de/10011299302
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Order Imbalance, Market Returns and Macroeconomic News : Evidence from the Australian Interest Rate Futures Market
Smales, Lee A. - 2013
The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...
Persistent link: https://www.econbiz.de/10013092145
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Trading Volume, Realized Volatility and Jumps on the Australian Stock Market
Shahzad, Hassan - 2015
We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …
Persistent link: https://www.econbiz.de/10013033634
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Relationship between FIIs' herding and returns in the Indian equity market : further empirical evidence
Choudhary, Kapil; Parminder Singh; Soni, Amit - In: Global business review 23 (2022) 1, pp. 137-155
Persistent link: https://www.econbiz.de/10012822101
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Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161
Persistent link: https://www.econbiz.de/10011644073
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Examining the relationship between stock return volatility and trading volume : new evidence from an emerging economy
Bose, Shekar; Rahman, Hafizur - In: Applied economics 47 (2015) 16/18, pp. 1899-1908
Persistent link: https://www.econbiz.de/10010511945
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Stock return volatility and trading volume relationships captured with stable Paretian GARCH and Threshold GARCH models
Naka, Atsuyuki; Oral, Ece - In: Journal of business & economics research 11 (2013) 1, pp. 47-52
Persistent link: https://www.econbiz.de/10009726502
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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange
Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167
Persistent link: https://www.econbiz.de/10009713176
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A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data
Streeter, Denise W.; Najand, Mohammad; Dondeti, V. Reddy; … - In: International journal of bonds and derivatives 1 (2015) 4, pp. 284-301
Persistent link: https://www.econbiz.de/10011546737
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A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364
Persistent link: https://www.econbiz.de/10011453520